Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0303
Annualized Std Dev 0.3008
Annualized Sharpe (Rf=0%) 0.1008

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1682
Quartile 1 -0.0082
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0097
Maximum 0.1782
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0189
Skewness -0.3876
Kurtosis 9.1727

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0129
Loss Deviation 0.0150
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0138
Downside Deviation (0%) 0.0138
Maximum Drawdown 0.7252
Historical VaR (95%) -0.0283
Historical ES (95%) -0.0464
Modified VaR (95%) -0.0294
Modified ES (95%) -0.0557
From Trough To Depth Length To Trough Recovery
2007-10-30 2009-03-03 NA -0.7252 3371 337 NA
1999-05-14 2002-10-09 2004-12-03 -0.5801 1398 856 542
2006-01-20 2007-03-05 2007-09-26 -0.3292 424 281 143
2005-03-21 2005-04-18 2005-07-28 -0.2084 91 20 71
2005-08-19 2005-11-08 2006-01-03 -0.1461 94 57 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.9 -1.3 -1.1 2.8 1.4 -1.7 -1.9 -1 -0.6 2.3 -0.5 6.9 7
2000 -1 -2.2 3.6 3.3 2.1 2 0 0 0.8 1.6 -0.8 -0.8 8.6
2001 0.6 -1.3 0.1 3.5 1.3 -0.5 0.6 -0.1 0.9 0 -0.1 2.7 8
2002 -0.4 2.2 -1.5 -0.7 2.2 -0.5 -2.3 -0.5 1.7 -0.4 1.5 1.6 2.6
2003 -0.7 -0.9 0.2 -0.9 2.3 1.9 1.8 2.1 2.9 -2 1.6 0.2 8.8
2004 3 1.4 1.1 -3.4 -0.2 -1.4 -1.4 0.8 2.1 -0.8 -0.6 0.9 1.3
2005 0.1 -0.9 -0.6 0.7 4 0.9 -0.3 1.2 1.1 1 1.8 -0.4 8.8
2006 0.5 0.3 0.9 0.6 2.3 0 -1.8 1.5 -0.5 -16.8 -0.5 1.5 -12.9
2007 0.5 -2.5 -0.4 0.4 3 -0.2 -0.1 3 2.9 -3.6 0.5 0.8 4.2
2008 3.5 -5.5 4.4 1.6 0.5 -2.3 0 -1.3 0.8 -2 -5.7 0.4 -5.9
2009 -1.7 -3 1.6 2.4 4.1 2.5 2 -2.7 -2.8 -3.5 3.8 0.3 2.4
2010 3.1 1.6 2.6 -1.3 -1.6 -0.3 0.3 3.2 1.9 1.2 2.7 1.4 15.7
2011 2.2 -0.5 1.5 0.2 -1.8 1.5 0.8 0 -3.7 -1.4 0.5 -1.2 -1.9
2012 2.7 1.8 0.7 0.8 -2.4 4 0.2 0.8 0.4 1.6 0.2 2.8 14.4
2013 0.6 0.3 -0.1 -0.9 -2.7 0.7 2 -0.2 2.8 0.3 0.9 0.5 4.1
2014 -0.4 -0.7 0.7 -0.1 -1.1 1.1 -0.2 0.1 -1.5 0.5 -2.2 -0.7 -4.4
2015 -2 0.3 1 -0.4 -0.1 0.1 0.3 -2.2 -0.5 0.4 1.2 0.8 -1.2
2016 -0.3 2.8 -0.5 -0.2 -1 1.1 1 0.1 0.8 -0.5 -1.2 -0.5 1.6
2017 0.4 0.8 -0.4 0.7 1.1 0.5 1 -0.2 0.7 0.9 -0.9 1 5.7
2018 -0.8 -0.8 1.8 -0.3 1.1 2.8 -0.3 -0.1 -0.1 3.4 -0.2 1.6 8.3
2019 -0.3 -1.1 0.7 -0.2 0.8 1 -0.2 0.8 -0.4 1.3 -1.1 0.3 1.5
2020 -1.6 -3.2 -4 -3.1 0.9 1.3 -0.4 0.8 0.7 0.4 1.8 1.2 -5.2
2021 2.5 1.9 -0.8 NA NA NA NA NA NA NA NA NA 3.7

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart